Ok, so it's hard for a movie to sustain that 'rock' feel for a whole movie, but it's easy to think of specific scenes / performances / etc that can definitely qualify as 'rocking,' including:
The Feelies as the 'dance band' at the High School reunion in SOMETHING WILD.
Bob Dylan's 'It's All Right Ma, I'm Only Bleeding' in DON'T LOOK BACK.
The Yardbirds 'Stroll On' in BLOW-UP. There's some story about how they couldn't clear the rights to 'Train Kept A-Rollin' so did this clone version instead. Works for me either way, cause they pretty much torch this one.
Bauhaus doing 'Bela Lugosi's Dead' in THE HUNGER. In the 80's I'd pretty much see anything with David Bowie, including the questionable LABYRINTH and the execrable MERRY CHRISTMAS MR LAWRENCE. But THE HUNGER still ranks as one of the highlights of Dave's flirtation with Hollywood (or at least Indywood) - not only for this great nightclub scene but for the overall smooth and breathy tone, that sexy cello scene, and oooh that Catherine Deneuve!
The climactic performance scene in SCHOOL OF ROCK when the Redemptive Power of Rock (yikes!) helps the kids come together, and helps their uptight parents understand them just a bit.
The climactic performance scene in STILL CRAZY when the Redemptive Power of Rock (there it is again!) helps reunite the estranged guitarist with the band, and he comes back onstage to hit an emotional solo in their signature song. Wait, wasn't that Spinal Tap? Well, yeah but it still works...